Fergusson, Kevin; Platen, Eckhard - Finance Discipline Group, Business School - 2014
Market models which re ect stylised properties of the interest rate term structure are widely used for modelling and … pricing interest rate derivatives. We consider a market model involving the short rate and a diversied global stock index. We … illustrate the stylised properties of the interest rate term structure implied by a system of stochastic dierential equations …